Sunday, April 1, 2012

NIFTY trading strategy backtest performance -Buy at month end,sell 5 days later

End of Month / Turn of Month Calendar Seasonal trading pattern anomaly
8 May 2012 - Updated with May 2012 performance.Short in April end, cover T+5 in May = +4.7% return
10 Apr 2012 - Update with April 2012 performance.
Wrt. March 2012 NIFTY close of 5295, after 5 trading days in April, NIFTY closed at 5243.6. i.e (-1.0%) down from March end. This definitely breaks the 100% winning percentage since 2002. But it actually gave a +1.5% return ( from 5295 to 5375 ) ,intraday ;within the 1st five days.( matches with the median April return since 2001- excluding outliers.See 2nd table table below)
Here the updated table with May & April, 2012 performance.April -Winning percentage falls to 83% ( from 91% earlier) . ( click to zoom)

Here is the summary table.Click to zoom. Will add commentary later. ( Its self explanatory actually)
Winning percentage of this trading strategy has dropped from high of 100% in year 2004  to 50% in 2011.
Best months for this strategy- Highest returns to lowest - September, November,December.April (new India Financial Year start) would be fourth in rank, based on Sharpe ratio.

1 comment:

seema said...

Thank you for sharing this information and Very good looking blog on

Nifty Trading